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View Code? Open in Web Editor NEWToolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015). Allows for the computation of impulse responses and forecasts and provides functionality for assessing results.
Home Page: https://cran.r-project.org/package=BVAR
License: Other